VTBE RUB[Strategy] vs VTBA RUB[Benchmark]

20 Jan, 2020 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	35.84%	58.48%
CAGR﹪	15.69%	24.5%
Sharpe	0.42	0.64
Prob. Sharpe Ratio	25.77%	35.66%
Smart Sharpe	0.29	0.44
Sortino	0.62	0.96
Smart Sortino	0.42	0.66
Sortino/√2	0.44	0.68
Smart Sortino/√2	0.3	0.46
Omega	1.11	1.11
Max Drawdown	-26.09%	-28.62%
Longest DD Days	373	105
Volatility (ann.)	27.7%	31.24%
R^2	0.7	0.7
Information Ratio	-0.03	-0.03
Calmar	0.6	0.86
Skew	1.15	1.57
Kurtosis	80.92	106.81
Expected Daily	0.06%	0.09%
Expected Monthly	1.18%	1.79%
Expected Yearly	10.75%	16.59%
Kelly Criterion	5.27%	10.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.8%	-3.13%
Expected Shortfall (cVaR)	-2.8%	-3.13%
Max Consecutive Wins	11	10
Max Consecutive Losses	6	5
Gain/Pain Ratio	0.17	0.26
Gain/Pain (1M)	1.75	3.28
Payoff Ratio	0.94	0.95
Profit Factor	1.17	1.26
Common Sense Ratio	1.37	1.45
CPC Index	0.6	0.67
Tail Ratio	1.17	1.15
Outlier Win Ratio	3.54	3.55
Outlier Loss Ratio	3.24	3.18
MTD	-1.14%	-5.23%
3M	0.7%	-6.68%
6M	0.85%	-0.52%
YTD	2.29%	-7.9%
1Y	-4.72%	14.79%
3Y (ann.)	15.69%	24.5%
5Y (ann.)	15.69%	24.5%
10Y (ann.)	15.69%	24.5%
All-time (ann.)	15.69%	24.5%
Best Day	22.48%	27.14%
Worst Day	-19.39%	-23.62%
Best Month	12.88%	10.28%
Worst Month	-5.47%	-5.63%
Best Year	36.18%	35.44%
Worst Year	-2.49%	-7.9%
Avg. Drawdown	-3.24%	-2.81%
Avg. Drawdown Days	31	15
Recovery Factor	1.37	2.04
Ulcer Index	0.07	0.04
Serenity Index	0.52	3.73
Avg. Up Month	3.94%	4.55%
Avg. Down Month	-1.89%	-3.11%
Win Days	53.99%	56.36%
Win Month	57.69%	69.23%
Win Quarter	77.78%	66.67%
Win Year	66.67%	66.67%
Beta	0.74	-
Alpha	-0.01	-
Correlation	83.7%	-
Treynor Ratio	38.85%	-